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Anticipating linear stochastic differential equations driven by a Lévy process


 
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1. Title Title of document Anticipating linear stochastic differential equations driven by a Lévy process
 
2. Creator Author's name, affiliation, country Jorge A. Leon; Departamento de Control Automatico Cinvestav-IPN; Mexico
 
2. Creator Author's name, affiliation, country David Márquez-Carreras; Universitat de Barcelona; Spain
 
2. Creator Author's name, affiliation, country Josep Vives; Universitat de Barcelona; Spain
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Canonical Lévy space; Girsanov tranformations; Lévy and Poisson measures; Malliavin calculus; Pathwise integral; Skorohod integral
 
3. Subject Subject classification 60H10; Secondary: 60H05; 60H07; 60G51
 
4. Description Abstract In this paper we study the existence of a unique solution for  linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we  extend the method based on Girsanov transformation on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) CONACyT grant 98998, MEC FEDER MTM 2009-07203 and MEC FEDER MTM 2009-08869
 
7. Date (YYYY-MM-DD) 2012-10-05
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/1910
 
10. Identifier Digital Object Identifier 10.1214/EJP.v17-1910
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 17
 
12. Language English=en en
 
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